Sources and Descriptions

Sources and Descriptions of Data

Fama/French US Small Value Index (ex utilities). July 1926 to December 2018. Composition: US operating companies trading on the NYSE, AMEX or Nasdaq NMS. Maximum weight of any security in a portfolio is 4%. Exclusions: ADRs, Investment Companies, Tracking Stocks before 1993, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, Berkshire Hathaway Inc (Permco 540), negative book values, and Utilities. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – 1992. CRSP links to Compustat and hand-collected links: 1926 – Present. Book-to-market ratios provided by Dimensional: 1993 – Present. Breakpoints: Before June 1996, the small portfolios contain firms with market capitalization below the 55th percentile of all eligible NYSE firms and the large portfolios contain firms with market caps above the 50th percentile. From June 1996 to December 2000, the size breakpoint for all portfolios is the market cap of the median eligible NYSE firm. The BtM breakpoints for 1926 to 2000 split the eligible NYSE firms with positive book equity into three categories: the top 30% are in value and the bottom 30% are in growth. Starting in January 2001, the size breakpoints are defined by cumulative market cap percentile rules. Small is the bottom 8% of the overall stock market and large is the top 90%. The BtM breakpoints are defined by the firms in the relevant size range. The breakpoints for small value (high BtM) and small growth (low BtM) assign 25% of the total market cap in the small size range to each portfolio. The BtM breakpoints for large assign 10% of the market equity of large firms to the large value portfolio and 20% to the large growth portfolio. Rebalancing: Annual (at the end of June): 1926 – 1992. Quarterly: 1993 – Present. Currency: USD. Fama/French and multifactor data provided by Fama/French.

Fama/French US Large Value Index (ex utilities) – July 1926 to December 2018. Composition: US operating companies trading on the NYSE, AMEX or Nasdaq NMS. Maximum weight of any security in a portfolio is 4%. Exclusions: ADRs, Investment Companies, Tracking Stocks before 1993, non-US incorporated companies, Closed-end funds, Certificates, Shares of Beneficial Interests, Berkshire Hathaway Inc (Permco 540), negative book values, and Utilities. Sources: CRSP databases for returns and market capitalization: 1926 – Present. Compustat and hand-collected book values: 1926 – 1992. CRSP links to Compustat and hand-collected links: 1926 – Present. Book-to-market ratios provided by Dimensional: 1993 – Present. Breakpoints: Before June 1996, the small portfolios contain firms with market capitalization below the 55th percentile of all eligible NYSE firms and the large portfolios contain firms with market caps above the 50th percentile. From June 1996 to December 2000, the size breakpoint for all portfolios is the market cap of the median eligible NYSE firm. The BtM breakpoints for 1926 to 2000 split the eligible NYSE firms with positive book equity into three categories: the top 30% are in value and the bottom 30% are in growth. Starting in January 2001, the size breakpoints are defined by cumulative market cap percentile rules. Small is the bottom 8% of the overall stock market and large is the top 90%. The BtM breakpoints are defined by the firms in the relevant size range. The breakpoints for small value (high BtM) and small growth (low BtM) assign 25% of the total market cap in the small size range to each portfolio. The BtM breakpoints for large assign 10% of the market equity of large firms to the large value portfolio and 20% to the large growth portfolio. Rebalancing: Annual (at the end of June): 1926 – 1992. Quarterly: 1993 – Present. Currency: USD. Fama/French and multifactor data provided by Fama/French.